TY  - CHAP
AB  - Purpose – The aim of this chapter is to examine the constant proportion portfolio insurance (CPPI) method when the multiple is allowed to vary over.Methodology/approach – A quantile approach is introduced under the dependent return hypothesis. We use for example ARCH-type models.Findings – In this framework, we provide explicit values of the multiple as function of the past asset returns and other state variables. We show how the multiple can be chosen to satisfy the guarantee condition, at a given level of probability and for particular market conditions.Originality/value of paper – We show in this chapter that it is possible to choose variable multiples for the CPPI method if quantile hedging is used and in the case of dependent log returns. Upper bounds can be calculated for each level of probability and according to state variables. This new multiple can be determined according to the distributions of the risky asset log return and volatility.
VL  - 20
SN  - 978-0-85724-489-5, 978-0-85724-490-1/1571-0386
DO  - 10.1108/S1571-0386(2010)0000020014
UR  - https://doi.org/10.1108/S1571-0386(2010)0000020014
AU  - Ben Ameur Hachmi
ED  - Fredj Jawadi
ED  - William A. Barnett
PY  - 2010
Y1  - 2010/01/01
TI  - Chapter 9 GARCH Models with CPPI Application
T2  - Nonlinear Modeling of Economic and Financial Time-Series
T3  - International Symposia in Economic Theory and Econometrics
PB  - Emerald Group Publishing Limited
SP  - 187
EP  - 205
Y2  - 2024/04/24
ER  -